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Keywords: Futures
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Journal Articles
Modeling calendar spread options
Available to Purchase
Journal:
Agricultural Finance Review
Agricultural Finance Review (2018) 78 (5): 551–570.
Published: 02 July 2018
...Juheon Seok; B. Wade Brorsen; Bart Niyibizi Purpose The purpose of this paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price them could lead to lower bid-ask spreads as well as more...
Journal Articles
Quantitative finance for agricultural commodities: discussion and extension
Available to Purchase
Journal:
Agricultural Finance Review
Agricultural Finance Review (2016) 76 (1): 27–41.
Published: 03 May 2016
...Gabriel J. Power Purpose – The purpose of this paper is to review three papers in this issue and contribute new results on commodity futures prices and volume using wavelet analysis. Design/methodology/approach – The paper uses time series econometrics including variance ratio tests...
Journal Articles
Cooperative risk management, rationale, and effectiveness: the case of dairy cooperatives
Available to Purchase
Journal:
Agricultural Finance Review
Agricultural Finance Review (2007) 67 (2): 311–339.
Published: 01 November 2007
... in the cooperative. © Emerald Group Publishing Limited 2007 Cooperative Expected utility Futures Options Risk management Value‐at‐risk ...
